Approaches to Asian Option Pricing with Discrete Dividends....
The method and characteristics of several approaches to the pricing of discretely monitored arithmetic Asian options on stocks with discrete, absolute dividends are described. The contrast between...
View ArticleOn utility maximization without passing by the dual problem....
We treat utility maximization from terminal wealth for an agent dynamically investing in a continuous-time financial market and receiving a possibly unbounded random endowment. The utility function is...
View ArticleExistence of a Radner equilibrium in a model with transaction costs....
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon. Two agents receive exogenous, unspanned income and choose between consumption...
View ArticleDemonetization and Its Impact on Employment in India. (arXiv:1702.01686v1...
On November 08, the sudden announcement to demonetization the high denomination currency notes sent tremors all across the country. Given the timing, and socioeconomic and political repercussions of...
View ArticlePerfect hedging under endogenous permanent market impacts....
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the...
View ArticleHyperbolic Discounting of the Far-Distant Future. (arXiv:1702.01362v1...
We prove an analogue of Weitzman's (1998) famous result that an exponential discounter who is uncertain of the appropriate exponential discount rate should discount the far-distant future using the...
View ArticleMarket Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical...
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available...
View ArticleMonetary value measures in a category of probability spaces....
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob...
View ArticleEstimation of a noisy subordinated Brownian Motion via two-scales power...
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scales realized...
View ArticleConditional Davis Pricing. (arXiv:1702.02087v1 [q-fin.MF])
We introduce the notion of a conditional Davis price and study its properties. Our ultimate goal is to use utility theory to price non-replicable contingent claims in the case when the investor's...
View ArticleThe Installation Costs of a Satellite and Space Shuttle Launch Complex as a...
From the 1940's to the present, space explorations, which is a highly important topic for the world and human beings, penetrate into many areas from the communication to the national security as well...
View ArticleExistence, uniqueness, and stability of optimal portfolios of eligible...
We study the existence of portfolios of traded assets making a given financial institution pass some pre-specified (internal or external) regulatory test. In particular, we are interested in the...
View ArticleType-Compatible Equilibria in Signalling Games. (arXiv:1702.01819v1 [q-fin.EC])
The key issue in selecting between equilibria in signalling games is determining how receivers will interpret deviations from the path of play. We develop a foundation for these off-path beliefs, and...
View ArticleBusiness Dynamics in KPI Space. Some thoughts on how business analytics can...
The biggest problem with the methods of machine learning used today in business analytics is that they do not generalize well and often fail when applied to new data. One of the possible approaches to...
View ArticleOne-Switch Discount Functions. (arXiv:1702.02254v1 [q-fin.EC])
Bell (1988) introduced the one-switch property for preferences over sequences of dated outcomes. This property concerns the effect of adding a common delay to two such sequences: it says that the...
View ArticleSuper Generalized Central Limit Theorem: Limit distributions for sums of...
In nature or societies, the power-law is present ubiquitously, and then it is important to investigate the mathematical characteristics of power-laws in the recent era of big data. In this paper we...
View ArticleRough volatility: evidence from option prices. (arXiv:1702.02777v1 [q-fin.ST])
It has been recently shown that spot volatilities can be very well modeled by rough stochastic volatility type dynamics. In such models, the log-volatility follows a fractional Brownian motion with...
View ArticleEconophysics of Macroeconomics: "Action-at-a-Distance" and Waves....
We present macroeconomic model that describes evolution of macroeconomic variables and macroeconomic waves on economic space. Risk ratings of economic agents play role of their coordinates on economic...
View ArticleInvariance properties in the dynamic gaussian copula model *....
We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{\'e}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{\'e}pey and Song (2017),...
View ArticleAn applied spatial agent-based model of administrative boundaries using SEAL....
This paper extends and adapts an existing abstract model into an empirical metropolitan region in Brazil. The model - named SEAL: a Spatial Economic Agent-based Lab - comprehends a framework to enable...
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